01 - Preheat oven to 350°F. Grease and line a 8×12 inch baking tin with parchment paper.
02 - Using an electric mixer, cream the butter and caster sugar together until pale and fluffy, approximately 3-4 minutes. Add the eggs one at a time, beating well after each addition, then mix in the vanilla extract.
03 - Alternately fold in the sifted self-raising flour and milk in three additions, beginning and ending with the flour. Fold gently until just combined — do not overmix.
04 - Spread the batter evenly into the prepared tin, smoothing the top with a spatula. Bake for 12-15 minutes until golden and a skewer inserted in the center comes out clean. Cool in the tin for 10 minutes, then turn out onto a wire rack to cool completely.
05 - While the sponge cools, dissolve the jelly crystals in boiling water, stirring until fully dissolved. Stir in the cold water, then pour the mixture into a shallow dish. Refrigerate for 45-60 minutes until the jelly is just beginning to set — it should have a syrupy, semi-firm consistency.
06 - Once the sponge is completely cool, trim the edges if desired, then cut into 24 equal squares using a sharp knife.
07 - In a chilled bowl, whip the heavy cream with powdered sugar and vanilla extract until firm peaks form. Be careful not to overwhip.
08 - Sandwich pairs of sponge squares together with a generous spoonful of whipped cream, creating 12 filled cakes.
09 - Working quickly, dip each sandwiched cake into the semi-set jelly, turning to coat all sides evenly. Allow excess jelly to drip off briefly, then roll immediately in desiccated coconut, covering all surfaces.
10 - Place the coated cakes on a wire rack and refrigerate for at least 30 minutes to allow the jelly to fully set before serving.